Portfolio
lightgbmLGBM no sector· rebalanceo 2022-02-28
Run
LGBM long only1.72LGBM 126d fundamental flexible 50 long only uncapped1.36LGBM 126d fundamental flexible 50 uncapped1.20LGBM 126d fundamental flexible uncapped0.96LGBM 126d fundamental flexible 50 sector450.96LGBM short filter0.81LGBM 126d flexible 50 beta600.81LGBM 126d fundamental flexible sector450.79LGBM 126d fundamental flexible0.64LGBM 126d flexible 50 beta400.51LGBM0.29LGBM buffer-0.04LGBM macro-0.26Ridge macro-0.33Ridge-0.33LGBM dual tail macro-0.37Ridge no sector-0.38LGBM 126d sector market cap 25 25-0.45LGBM beta neutral buffer-0.50LGBM dual tail-0.62LGBM no sector-0.71LGBM 126d—LGBM 21d—LGBM 252d—
Línea temporal
72 rebalanceosSnapshot (histórico)
Long book
15
gross 50.0%
Short book
15
gross -50.0%
Sectores cubiertos
10
30 posiciones
Sortino del run
-0.71
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
-3.62%
Short avg
6.49%
bajar = bueno para el short
Spread long − short
-10.10%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | SBAC | SBA Communications Corporation | Real Estate | 0.015 | 3.33% | 6.54% |
| 2 | TDG | TransDigm Group Incorporated | Industrials | 0.015 | 3.33% | -7.85% |
| 3 | AES | The AES Corporation | Utilities | 0.015 | 3.33% | 7.18% |
| 4 | NOW | ServiceNow, Inc. | Technology | 0.014 | 3.33% | -20.02% |
| 5 | ILMN | Illumina, Inc. | Healthcare | 0.014 | 3.33% | -32.14% |
| 6 | CRM | Salesforce, Inc. | Technology | 0.014 | 3.33% | -26.52% |
| 7 | CTVA | Corteva, Inc. | Basic Materials | 0.014 | 3.33% | 22.03% |
| 8 | CTXS | Citrix Systems, Inc. | Technology | 0.014 | 3.33% | -1.94% |
| 9 | TWTR | Twitter, Inc. (delisted) | Communication Services | 0.014 | 3.33% | 10.76% |
| 10 | JNPR | Juniper Networks, Inc. | Technology | 0.014 | 3.33% | -6.86% |
| 11 | IFF | International Flavors & Fragrances Inc. | Basic Materials | 0.014 | 3.33% | 3.51% |
| 12 | EG | Everest Re Group, Ltd. | Financial Services | 0.009 | 3.33% | 0.61% |
| 13 | RF | Regions Financial Corporation | Financial Services | 0.009 | 3.33% | 0.65% |
| 14 | AXP | American Express Company | Financial Services | 0.009 | 3.33% | -5.05% |
| 15 | KEYS | Keysight Technologies, Inc. | Technology | 0.008 | 3.33% | -5.15% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | CCL | Carnival Corporation & plc | Consumer Cyclical | -0.029 | -3.33% | -30.68% |
| 2 | RCL | Royal Caribbean Cruises Ltd. | Consumer Cyclical | -0.029 | -3.33% | -23.80% |
| 3 | VLO | Valero Energy Corporation | Energy | -0.029 | -3.33% | 48.26% |
| 4 | BKR | Baker Hughes Company | Energy | -0.029 | -3.33% | 24.34% |
| 5 | CZR | Caesars Entertainment, Inc. | Consumer Cyclical | -0.029 | -3.33% | -50.32% |
| 6 | NCLH | Norwegian Cruise Line Holdings Ltd. | Consumer Cyclical | -0.029 | -3.33% | -14.35% |
| 7 | HES | Hess Corporation | Energy | -0.029 | -3.33% | 19.76% |
| 8 | CF | CF Industries Holdings, Inc. | Basic Materials | -0.026 | -3.33% | 18.60% |
| 9 | FANG | Diamondback Energy, Inc. | Energy | -0.026 | -3.33% | 13.35% |
| 10 | MRO | Marathon Oil Corporation | Energy | -0.026 | -3.33% | 31.97% |
| 11 | EOG | EOG Resources, Inc. | Energy | -0.026 | -3.33% | 17.72% |
| 12 | APA | APA Corporation | Energy | -0.026 | -3.33% | 23.44% |
| 13 | NRG | NRG Energy, Inc. | Utilities | -0.026 | -3.33% | 24.07% |
| 14 | COP | ConocoPhillips | Energy | -0.026 | -3.33% | 15.48% |
| 15 | LYV | Live Nation Entertainment, Inc. | Communication Services | -0.023 | -3.33% | -20.52% |
Sector exposure en el rebalanceo seleccionado
2022-02-28| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Energy | 0.0% | 26.7% | -26.67% | 0 | 8 |
| Technology | 16.7% | 0.0% | 16.67% | 5 | 0 |
| Consumer Cyclical | 0.0% | 13.3% | -13.33% | 0 | 4 |
| Basic Materials | 6.7% | 3.3% | 3.33% | 2 | 1 |
| Financial Services | 10.0% | 0.0% | 10.00% | 3 | 0 |
| Communication Services | 3.3% | 3.3% | 0.00% | 1 | 1 |
| Utilities | 3.3% | 3.3% | 0.00% | 1 | 1 |
| Healthcare | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Industrials | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Real Estate | 3.3% | 0.0% | 3.33% | 1 | 0 |